Rethinking Risk Measurement and Reporting
v. 2

Edited by Bocker, Klaus

Model uncertainty must be accepted as an intrinsic part of risk measurement. This insight is the starting point for Rethinking Risk Measurement and Reporting, which identifies how uncertainty of risk figures can be better understood and expressed and how expert judgement can be absorbed into the fabric of modern risk management. Edited by Klaus Bocker and published in two volumes, Rethinking Risk Measurement and Reporting, will raise the reader's awareness of model and parameter uncertainty when using mathematical models in financial risk management. This second volume is divided into three sections and discusses a broad spectrum of financial applications, with practical examples, by risk type. Volume II builds on the foundations of the first volume, providing a higher degree and intensity of technical content. Tools and techniques are divided by their application for: Market Risk Credit Risk Operational Risk Klaus Bocker has assembled leading practitioners and academics within risk management fraternity to provide a comprehensive and integrated approach for improving existing risk measurement, management and reporting.

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[目次]

About the Editor About the Authors Introduction PART I MARKET RISK AND FINANCIAL TIME SERIES 1 Efficient Bayesian Estimation and Combination of Garch-Type Models David Ardia